Essays about: "C# optimization monte carlo"
Found 3 essays containing the words C# optimization monte carlo.
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1. Modern Credit Value Adjustment
University essay from KTH/Matematik (Avd.)Abstract : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. READ MORE
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2. Portfolio Optimization with Catastrophe Bonds
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis investigates properties of the returns of catastrophe bonds and their risk diversification potential in portfolios. Ideas from existing literature, such as modeling the evolution of the outstanding principal as a compound Poisson process, are extended to take into account the times of occurrence of the loss events, which are important for the returns of catastrophe bonds with certain types of payment structure. READ MORE
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3. Optimization of Monte Carlo simulations
University essay from Institutionen för informationsteknologiAbstract : This thesis considers several different techniques for optimizing Monte Carlo simulations. The Monte Carlo system used is Penelope but most of the techniques are applicable to other systems. The two mayor techniques are the usage of the graphics card to do geometry calculations, and raytracing. READ MORE